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Ichimoku Kumo breakout strategy ...
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Ichimoku Kumo breakout strategy ...

  #1 (permalink)
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Ichimoku Kumo breakout strategy ...

Hi All - as a follow on to the IchimokuHL indicator that futuretrader last worked on, and the recent thread here
https://futures.io/traders-hideout/13103-ichimoku-reconstructed.html
I would really like to start backtesting some variants on a Kumo breakout strategy. As far as I understand it, in NT7 if you have a strategy script, you can still open up the condition builder in the script editor, which would be ideal for adding or modifying conditions in an existing script.

On that assumption, what I am looking for is a NT strategy for Kumo breakouts - where the price breaks the cloud high or low and gives a long or short signal respectively. If only it were that easy. Then there is an additional filter that some Ichimoku traders use which is that the breakout trade is taken when the Chikou span has also broken out of the cloud in the same direction as the price. I can use the strategy wizard and condition builder to do simple stuff, but trying to work out which Senkou span to use A or B depending on which is higher at the time, and the fact that the cloud is shifted forwards on price and the Chikou span is shifted back, is way beyond me. Has anyone done something like this or fancies having a go ?

Thanks v much !


Last edited by Overview; October 10th, 2011 at 03:01 AM.
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  #2 (permalink)
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  #3 (permalink)
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Overview View Post
Hi All - as a follow on to the IchimokuHL indicator that futuretrader last worked on, and the recent thread here
https://futures.io/traders-hideout/13103-ichimoku-reconstructed.html
I would really like to start backtesting some variants on a Kumo breakout strategy. As far as I understand it, in NT7 if you have a strategy script, you can still open up the condition builder in the script editor, which would be ideal for adding or modifying conditions in an existing script.

On that assumption, what I am looking for is a NT strategy for Kumo breakouts - where the price breaks the cloud high or low and gives a long or short signal respectively. If only it were that easy. Then there is an additional filter that some Ichimoku traders use which is that the breakout trade is taken when the Chikou span has also broken out of the cloud in the same direction as the price. I can use the strategy wizard and condition builder to do simple stuff, but trying to work out which Senkou span to use A or B depending on which is higher at the time, and the fact that the cloud is shifted forwards on price and the Chikou span is shifted back, is way beyond me. Has anyone done something like this or fancies having a go ?

Thanks v much !

Find attached an example of strategy based on your indications. I had to rename the indy TSIchimoku as there was a discrepancy between the file name and the declaration variable (public class). When backtesting remember to set calculateonbarclose=true otherwise your study will not be reliable. In the strat I did not set any stop or profit it is just an example to show you how to use the srat wizard.
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  #4 (permalink)
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Really interesting strategy, question what type of charts used? minutes, range, volume, momentum, renko?

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  #5 (permalink)
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g35pil View Post
Really interesting strategy, question what type of charts used? minutes, range, volume, momentum, renko?

Ichimoku was created for currencies on daily charts, it works with different instruments and time frames as well, you need to play around. Interesting webinar on the topic #301 & 302 https://futures.io/elite-circle/3383-upcoming-webinars-training-education-31.html

In his book Amazon.com: Trading with Ichimoku Clouds: The Essential Guide to Ichimoku Kinko Hyo Technical Analysis (Wiley Trading) (9780470609934): Manesh Patel: Books Manesh did some backtesting on specific strategies.

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redratsal View Post
Ichimoku was created for currencies on daily charts, it works with different instruments and time frames as well, you need to play around. Interesting webinar on the topic #301 & 302 https://futures.io/elite-circle/3383-upcoming-webinars-training-education-31.html

In his book Amazon.com: Trading with Ichimoku Clouds: The Essential Guide to Ichimoku Kinko Hyo Technical Analysis (Wiley Trading) (9780470609934): Manesh Patel: Books Manesh did some backtesting on specific strategies.

can you persuade Manesh to post his results and teach us how to back test, and replicate similar results?

now, that would be beneficial, and improve us all

thanks in advance

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@redratsal
Thanks very much for this. I have loaded up the indicator and strategy. Indicator fine, but I can't seem to make the strategy do anything .... tried EURUSD daily ....

Now for the questions ... !!
As far as I understand it, all of the conditions listed inside the top area of the condition builder have to be satisfied simultaneously i.e. AND ? (sanity check here...) And so if you want to 'OR' different conditions you have to use another one of the 'Set' tabs at the top of the firsr panel ?

What I don't understand (probably because I have missed something), is given the construct of the conditions, how is the fact that the cloud is shifted forward and the CS shifted back handled in the logic - as the Kumo breakout validated by the CS cloud cross sequence AFAIK goes .....
1. Price closes above cloud (but the actual cloud is shifted forward so the price is being compared with the calculation of the cloud from a while back)
2. CS crosses cloud (so the CS which is shifted back, is compared with the cloud which is shifted forwards)
How does the logic of the conditions handle all that stuff ? (or is it automatically taken into account because of the way NT7 works ?)
Should the strategy work as is in the strategy analyzer or do I need to do something else to make it work ?
Apologies for the basic questions, but the logic of this really hurts my head !!!

Thanks !

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  #8 (permalink)
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kronie View Post
can you persuade Manesh to post his results and teach us how to back test, and replicate similar results?

now, that would be beneficial, and improve us all

thanks in advance

That is an exersice for the OP, I think back testing is a practice everybody should go through, at least to have his/her own conclusions about computer outputs vs reality.

I subscribe to your philosophy: "Negotiatio Ergo Sum"

Did you enjoy your Columbus Day?

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  #9 (permalink)
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Overview View Post
@redratsal
Thanks very much for this. I have loaded up the indicator and strategy. Indicator fine, but I can't seem to make the strategy do anything .... tried EURUSD daily ....

Now for the questions ... !!
As far as I understand it, all of the conditions listed inside the top area of the condition builder have to be satisfied simultaneously i.e. AND ? (sanity check here...) And so if you want to 'OR' different conditions you have to use another one of the 'Set' tabs at the top of the firsr panel ?

What I don't understand (probably because I have missed something), is given the construct of the conditions, how is the fact that the cloud is shifted forward and the CS shifted back handled in the logic - as the Kumo breakout validated by the CS cloud cross sequence AFAIK goes .....
1. Price closes above cloud (but the actual cloud is shifted forward so the price is being compared with the calculation of the cloud from a while back)
2. CS crosses cloud (so the CS which is shifted back, is compared with the cloud which is shifted forwards)
How does the logic of the conditions handle all that stuff ? (or is it automatically taken into account because of the way NT7 works ?)
Should the strategy work as is in the strategy analyzer or do I need to do something else to make it work ?
Apologies for the basic questions, but the logic of this really hurts my head !!!

Thanks !

The logic works with the current bar close and relates it with all the variables, as set in the condition builder, just as you would see it on the chart. If there are no results I assume the conditions were never met. My intent is not to build you the strategy but rather to help you understand how the strategy works so you can build your own. I suggest that you play around with the strat wizard and make your own tests: "Rome wasn't built in a Day". Bear also in mind, as pointed by Kronie, that back testing might be quite different than reality, have a search on futures.io (formerly BMT) on the subject.

PS For Crossing strats you can use the function cross below/above in the condition builder

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  #10 (permalink)
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troubleshooting ................


@redratsal
Appreciate the response - I have been playing with the strategy for a while. I had found the crosses over/under settings and was using them. I have done a bit more testing, and to make life a bit easier I tried setting the Chikou span crosses over Senkou A for a buy and then a sell when the price crosses below the Senkou B, and it seems that the timeshifting effect is indeed a problem - if you look at a sell signal generated on a chart, at the point where the sell arrow is placed, the price is still above the cloud as it is displayed on the chart. (but not above the cloud if it had not been shifted to the right). Hmmm.

What I would like to be able to do for example is set the sell signal (for example) at the point where the price actually crosses the Senkou B to the downside as I see it on the chart. Is there a setting in the condition builder that will allow me to do this ?

And the CS crossing over the Senkou A is even more complex ........

(Appreciate the attempt at assisting me getting my programming up to speed but I am 99.999% recurring - sure that it is a lost cause ........... However I used the strategy builder before on simpler things without too many issues, and I think this timeshifting is a real problem I have no idea how to solve - thx for the warning about backtesting vs reality - will check this out)

@all
Would appreciate if anyone can set me straight or help me troubleshoot ....

Thx !!

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Last edited by Overview; October 11th, 2011 at 03:04 PM.
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